Nonlinear Kalman Filtering in Affine Term Structure Models
Christoffersen, Peter, Dorion, Christian, Jacobs, Kris, Karoui, LotfiVolume:
60
Language:
english
Journal:
Management Science
DOI:
10.1287/mnsc.2013.1870
Date:
September, 2014
File:
PDF, 1.31 MB
english, 2014